A martingale approach to premium calculation principles in an arbitrage free market
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- Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
- Fischer, Tom, 2007. "A law of large numbers approach to valuation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 35-57, January.
- Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
- Alexander Muermann, 2002. "Pricing Catastrophe Insurance Derivatives," FMG Discussion Papers dp400, Financial Markets Group.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- repec:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685 is not listed on IDEAS
- Wang, Shaun, 1996. "Ordering of risks under PH-transforms," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 109-114, July.
- Paul Embrechts, 1996. "Actuarial versus Financial Pricing of Insurance," Center for Financial Institutions Working Papers 96-17, Wharton School Center for Financial Institutions, University of Pennsylvania.
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